2021

Large Data, Econometrics  and Forecasting

Department of  Economics and Law, Sapienza University of Rome, September 17-18, 2021

Organizer: Emilio Zanetti-Chini (Sapienza), Marco Pellegrini (Sapienza)

The workshop aims to disseminate the recent developments in the econometric analysis of extensive data that constitute the last decade's most innovative and debated issue. The workshop is organized in four sessions, each preceded by a Keynote Speaker. The first session discusses the econometric theory and methodology for environments characterized by high complexity, like new types of stochastic processes, resampling methods and asymptotic refinements for statistical inference. The second session concerns the effects of the recent turmoil in financial markets and cryptocurrencies, either in terms of change in volatility or in terms of contagion and network dynamics. The third session investigates new topics in economic forecasting, namely textual data, improving factor-based methods and using mutual information. The last session deals with Macroeconometric applications, like the state of the present business cycle phase, the probability of recession via large-scale econometric models and their effectiveness in terms of accuracy to understand the limits of the predictions by standard models.

Venue: Dipartimento di Economia e Diritto,, Via del Castro Laurenziano, 9 – 00161 Roma, Palazzina della Presidenza, Floor 2, Room: Sala delle Tesi.

Detailed Programme 

• Opening: D'Ascenzo (Sapienza) and Di Bartolomeo (Sapienza)

Session 1: Theory and Methods (September 17)

11,00 – 11,30: Bootstrap Inference For Hawkes and General Point Processes (Cavaliere)

11,30 – 12:00: Robust filtering of a location parameter (Luati)

12:00 – 12:30: Changepoint detection in a random coefficient autoregressive model (Trapani)

12:30 – 13:00: Specification testing in spatial autoregression (Rossi, F.)

Session 2: Large Data and Statistical Information

14,50 – 15,20: The power of text-based indicators in forecasting the Italian economic activity (Marcucci)

15,20 – 15,50: Common Factors and Regime Shifts in Stock and Bond Comovement (Massacci)

15,50 – 16,20: Optimal transformations for maximum mutual information (Proietti)

Session 3: Macroeconometrics

17,30 – 18,00: Using sectoral data to estimate the US output gap (Amisano)

18,00 – 18,30: Forecasting Low Frequency Macroeconomic Events with High Frequency Data (Galvao)

18,30 – 19,00: Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs (Paccagnini)

Session 4: Financial Econometrics (September 18)

10,10 – 10,40: Smooth Transition Matrix-t Regressions (Billio)

10,40 – 11,10: Multiplicative Non-Stationary Volatility Models with Exogenous Information (Amado)

11,10 – 11,40: Oil and Fiscal Policy Regimes (Ravazzolo)

11,40 – 12,10: Crypto Premium and Jump Risk (Santucci De Magistris)

Keynote speakers